On the Hankel-norm approximation of linear stochastic systems

DOI10.1016/0167-6911(85)90023-4MaRDI QIDQ802519zbMATH OpenOpenAlexFDO

Authors Andrea Gombani, Michele Pavon

Publication date 1985

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(85)90023-4

zbMATH Keywords

block-Hankel matricesHankel-norm approximationlinear stochastic systemsspectral factors

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Hermitian, skew-Hermitian, and related matrices (15B57) Approximation by rational functions (41A20) Realizations from input-output data (93B15) Linear systems in control theory (93C05) Stochastic systems in control theory (general) (93E03)

Review text

Ordering and interlocking properties for the singular values of the block-Hankel matrices corresponding to different spectral factors of a given spectral density matrix are applied to Hankel-norm approximation of SISO stochastic systems. In this way it may be shown that the minimum phase model may be approximated by systems of a certain dimension with better accuracy than any other model with the same output process. Upper bounds on the gain in accuracy are given.

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Cites work

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Cited in

(7)

• Hankel-norm approximation and control systems
• A Hankel norm for quadrature rules solving random linear dynamical systems
• AnH₂-Type Norm of a Discrete-Time Linear Stochastic System with Periodic Coefficients Simultaneously Affected by an Infinite Markov Chain and Multiplicative White Noise Perturbations
• On approximate recursive prediction of stationary stochastic processes
• scientific article; zbMATH DE number 4004039 (Why is no real title available?)
• ${\cal H}$-Representation and Applications to Generalized Lyapunov Equations and Linear Stochastic Systems
• A general Hankel-norm approximation scheme for linear recursive filtering

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